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Journal Articles Stochastic Processes and their Applications Year : 2011

On confined McKean Langevin processes satisfying the mean no-permeability boundary condition

Mireille Bossy
Jean-François Jabir
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Abstract

We construct a confined Langevin type process aimed to satisfy a mean no-permeability condition at the boundary. This Langevin process lies in the class of conditional McKean Lagrangian stochastic models studied in [5]. The confined process considered here is a first construction of solutions to the class of Lagrangian stochastic equations with boundary condition issued by the so-called PDF methods for Computational Fluid Dynamics. We prove the well-posedness of the confined system when the state space of the Langevin process is a hyper-plane.
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Dates and versions

inria-00559072 , version 1 (24-01-2011)
inria-00559072 , version 2 (22-08-2011)

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Mireille Bossy, Jean-François Jabir. On confined McKean Langevin processes satisfying the mean no-permeability boundary condition. Stochastic Processes and their Applications, 2011, 121 (12), pp.2751-2775. ⟨10.1016/j.spa.2011.07.006⟩. ⟨inria-00559072v2⟩
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